|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id481742. ; Size: 614K
|
|
The Quantification of Operational Risk
Markus Leippold
University of Zurich - Department of Banking and Finance; Swiss Finance Institute; University of Zurich - Faculty of Economics, Business Administration and Information Technology
Paolo Vanini
Zurich Cantonal Bank; University of Basel
November 2003
Abstract:
We examine the quantification of operational risk for banks. We adopt a financial economics approach and interpret operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining operational risk and then propose a framework to model risk mitigation through the bank's value chain over time. Using analytical and numerical methods, we obtain answers concerning capital allocation, network stability, risk figures, and diversification issues. Interpreting the results shows that the usual intuition gained from market and credit risk does not apply to the quantification of operational risk.
Number of Pages in PDF File: 38
Keywords: Operational Risk Management, Stochastic Systems, Diversification, Profitability
JEL Classification: C19, C69, G18, G21
working papers series
Download This Paper
Date posted: December 30, 2003
Suggested CitationLeippold, Markus and Vanini, Paolo, The Quantification of Operational Risk (November 2003). Available at SSRN: http://ssrn.com/abstract=481742 or http://dx.doi.org/10.2139/ssrn.481742
|
| Feedback to SSRN (Beta) |
|
|
Paper statistics
Download Rank:
|
1,180
|
People who downloaded this paper also downloaded:
1.
Modelling Operational Risk
By
Silvan Ebnöther,
Paolo Vanini, ...
2.
Using Loss Data to Quantify Operational Risk
By
Patrick De Fontnouvelle,
Virginia De Jesus-rueff, ...
3.
Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework
By
Ariane Chapelle,
Yves Crama, ...
4.
Determinants of Operational Risk Reporting in the Banking Industry
By
Guenther Helbok
and
Christian Wagner
5.
Loss Distribution Approach for Operational Risk
By
Antoine Frachot,
Pierre Georges, ...
6.
Leading Indicators for Operational Risk: Case Studies in Financial Services
By
Maike Sundmacher
and
Guy Ford
7.
Process Managing Operational Risk. Developing a Concept for Adapting Process Management to the Needs of Operational Risk in the Basel II-Framework
By
Benedikt Wahler
8.
Operational Risk in Financial Service Providers and the Proposed Basel Capital Accord: An Overview
By
Jeffry Netter
and
Annette Poulsen
9.
Operational Risk: A Practitioner's View
By
Paolo Vanini,
Silvan Ebnöther, ...
10.
Risk Management in Commercial Banks (A Case Study of Public and Private Sector Banks)
By
Rekha Arunkumar
and
G. Kotreshwar
|
|
|
|
